Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0027
Annualized Std Dev 0.1608
Annualized Sharpe (Rf=0%) -0.0166

Row

Daily Return Statistics

Close
Observations 5584.0000
NAs 1.0000
Minimum -0.1427
Quartile 1 -0.0041
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0045
Maximum 0.1166
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0101
Skewness -0.5896
Kurtosis 22.7745

Downside Risk

Close
Semi Deviation 0.0074
Gain Deviation 0.0075
Loss Deviation 0.0085
Downside Deviation (MAR=210%) 0.0123
Downside Deviation (Rf=0%) 0.0074
Downside Deviation (0%) 0.0074
Maximum Drawdown 0.4749
Historical VaR (95%) -0.0144
Historical ES (95%) -0.0245
Modified VaR (95%) -0.0136
Modified ES (95%) -0.0136
From Trough To Depth Length To Trough Recovery
1999-02-01 2008-11-24 2012-11-26 -0.4749 3474 2467 1007
2017-09-29 2020-03-23 NA -0.3391 874 623 NA
2012-11-27 2013-08-21 2017-08-29 -0.2488 1198 185 1013
2017-08-31 2017-09-12 2017-09-19 -0.0378 13 8 5
1999-01-08 1999-01-12 1999-01-21 -0.0118 9 3 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.8 0 -0.4 0.4 0.4 0 -0.5 -0.5 -0.5 0 2.6 0.5 1.4
2000 0 0.5 1 0 0 0 1 0 0 0 1 0 3.6
2001 -1.3 0.6 0.6 0 -0.2 -1 0.1 0.8 -0.5 0.3 0.1 0.2 -0.4
2002 0.3 -0.8 -0.3 1 0 -0.5 0.4 -0.2 -0.2 -0.1 0.1 -0.7 -1.2
2003 0.3 0 1.3 -0.2 -0.1 0.1 -1.4 0.1 1.4 0.1 -0.5 0.4 1.4
2004 0 -0.7 0 0.5 0.3 0.9 0.5 0.3 0.1 0.6 -0.1 0.9 3.5
2005 0.1 0 0.2 -0.6 0 -0.5 0.1 0 0.1 -0.3 -0.1 0.9 0
2006 0.7 0.1 -0.2 0.5 0.8 1.2 -0.6 0.1 0.8 0.9 1 -0.5 5
2007 0.1 -1.2 0.2 1 1 0.5 1.3 -0.1 0.9 -1.8 0.6 -0.1 2.3
2008 0.5 2.3 2.8 1.3 -0.2 -0.4 1.1 -1.3 6.4 -0.1 2.6 2.3 18.5
2009 1.3 -1.3 1.5 1.2 -2.3 0.3 1.7 -1.5 -0.5 -1.9 0.2 -0.5 -1.8
2010 -0.6 0.5 0.1 0.6 -1 0.7 -1.4 0.7 -0.4 -0.2 -0.9 0.5 -1.3
2011 0.5 -0.6 0.4 0.5 -0.5 -0.5 1.3 1 0.7 0 0.7 -1.2 2.1
2012 1.1 0.6 1.1 0 -0.7 0.2 0.1 -0.5 0.8 1.3 -0.3 0.5 4.3
2013 0.5 0.1 -0.6 0.2 -1.6 0.6 0 0.1 -0.5 0 0.2 0.4 -0.7
2014 -0.1 0.3 0 0.1 -0.4 0 0 -0.1 0.1 0.3 -0.3 0.4 0.5
2015 -1.7 -0.5 0 -0.3 -0.2 -0.2 0.3 0.5 0.2 -0.4 1 0 -1.4
2016 0.1 -0.2 -0.8 0.1 -0.7 -0.4 2 -3.5 -0.8 1.7 -0.7 0.1 -3.1
2017 0.1 -1.8 0.7 -0.4 -0.8 -3.4 -0.6 -0.6 -3.8 0.3 -0.8 -0.1 -10.7
2018 0 -0.1 0.9 0.4 -0.7 0.7 0.5 0.4 0.1 0.2 0.6 -3.7 -0.6
2019 0.8 1 2 1.8 2.5 0.5 -2 -0.2 -4.4 0.8 0.4 -0.4 2.6
2020 -3.4 -4.1 -1.2 0.4 0 1.3 0.8 0.7 -0.5 -1.3 -0.6 0.3 -7.4
2021 1 1.4 0.5 NA NA NA NA NA NA NA NA NA 2.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  15.8 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  15.9 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  15.8 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  15.9 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  15.9 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  15.9 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart